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The effects of ignoring level shifts on systems cointegration tests

Trenkler, Carsten - 2002

cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures … rank smaller than one suggested by procedures which accommodate the shifts. -- Systems cointegration tests ; Level shifts …

Persistent link: https://www.econbiz.de/10009626747

Testing for the cointegrating rank of a VAR process with level shift at unknown time

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2001

A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a … econometric analyses. -- Cointegration ; structural break ; vector autoregressive process ; error correction model …

Persistent link: https://www.econbiz.de/10009614873

Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000

size properties. -- local power ; test size ; cointegration ; vector autoregressive process ; error correction model …

Persistent link: https://www.econbiz.de/10009582388

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000

The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...

Persistent link: https://www.econbiz.de/10009612040